Side-by-side comparison

Compare investment strategies

Offseason: Tech-Tilted Stocks, International, KMLM vs D-Fence Trend Switch: SPY or T-Bills with Hedges

Every published figureShow 43 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

international stocks, managed futures, risk managed, tactical asset allocation, technology tilt, trend following, us stocks, volatility filter

bonds, defensive, inverse-hedge, managed futures, risk-on/off, t-bills, tactical, trend-following

Asset classes / instruments

equities

Market-relative

Alpha vs SPY, out-of-sample (out-of-sample)

0.03

—

Beta vs SPY, out-of-sample (out-of-sample)

1.02

—

Correlation (R) vs SPY, out-of-sample (out-of-sample)

0.93

—

Trading activity

Annualized turnover, backtest period (backtest)

8.82

—

Annualized turnover, out-of-sample period (out-of-sample)

6.92

—

Daily win rate, backtest period (backtest)

55.64%

—

Daily win rate, out-of-sample period (out-of-sample)

58.02%

—

Backtest

Backtest final value (from $10,000)

$27k

—

Backtest regulatory fees

$16

—

Backtest slippage cost

$113

—

Returns

Backtest length

1,152

—

Out-of-sample length

729

—

Return, backtest period (annualized) (backtest)

23.78%

—

Return, backtest period (cumulative) (backtest)

165.43%

—

Return, out-of-sample period (annualized) (out-of-sample)

27.55%

40.01%

Return, out-of-sample period (cumulative) (out-of-sample)

102.38%

2.98%

Return, trailing 1 day (out-of-sample)

0.48%

—

Return, trailing 1 month (out-of-sample)

2.93%

2.98%

Return, trailing 1 week (out-of-sample)

0.22%

—

Return, trailing 1 year (backtest)

23.40%

—

Return, trailing 1 year (out-of-sample)

23.41%

0.00%

Return, trailing 2 weeks (out-of-sample)

0.81%

—

Return, trailing 3 months (out-of-sample)

6.90%

2.82%

SPY annualized return over the backtest window (backtest)

16.27%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.40

—

Calmar ratio, out-of-sample period (out-of-sample)

1.62

28.47

Maximum drawdown, backtest period (backtest)

-17.04%

—

Maximum drawdown, out-of-sample period (out-of-sample)

-17.04%

-1.41%

Sharpe ratio, backtest period (backtest)

1.39

—

Sharpe ratio, out-of-sample period (out-of-sample)

1.54

3.57

Sortino ratio, backtest period (backtest)

2.15

—

Sortino ratio, out-of-sample period (out-of-sample)

2.40

—

Standard deviation, backtest period (backtest)

16.38%

—

Standard deviation, out-of-sample period (out-of-sample)

16.72%

10.03%

Quality

Community review status

ACTIVE

—

Holdings

Concentration (Herfindahl index, out-of-sample, as Composer reports it)

0.32

—

Construction

Logic complexity (node count)

161

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

daily

Popularity

Remixes (copies)

—

Watchers

—

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources